bvarsv: Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters

R/C++ implementation of the model proposed by Primiceri ("Time Varying Structural Vector Autoregressions and Monetary Policy", Review of Economic Studies, 2005), with functionality for computing posterior predictive distributions and impulse responses.

Version:	1.1
Imports:	Rcpp (≥ 0.11.0)
LinkingTo:	Rcpp, RcppArmadillo
Published:	2015-11-25
DOI:	10.32614/CRAN.package.bvarsv
Author:	Fabian Krueger
Maintainer:	Fabian Krueger <Fabian.Krueger83 at gmail.com>
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL:	https://sites.google.com/site/fk83research/code
NeedsCompilation:	yes
Materials:	README
In views:	Bayesian, TimeSeries
CRAN checks:	bvarsv results

Documentation:

Reference manual:

bvarsv.html , bvarsv.pdf

Downloads:

Package source:	bvarsv_1.1.tar.gz
Windows binaries:	r-devel: bvarsv_1.1.zip, r-release: bvarsv_1.1.zip, r-oldrel: bvarsv_1.1.zip
macOS binaries:	r-release (arm64): bvarsv_1.1.tgz, r-oldrel (arm64): bvarsv_1.1.tgz, r-release (x86_64): bvarsv_1.1.tgz, r-oldrel (x86_64): bvarsv_1.1.tgz
Old sources:	bvarsv archive

Reverse dependencies:

Reverse imports:

tvReg

Linking:

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